THE WEEK AHEAD: GDXJ, VIX
EARNINGS
No options highly liquid underlying earnings announcements this coming week.
EXCHANGE-TRADED FUNDS
Ordered by implied volatility rank:
SLV (99/33)
GDX (71/33)
GDXJ (67/37)
XLU (60/14)
GLD (59/15)
Pictured here is a GDXJ Oct 14th 36/44 short strangle, paying 1.23 at the mid with break evens at 34.77/45.23, and delta/theta metrics of 1.46/3.08.
BROAD MARKET
IWM (25/19)
SPY (20/15)
DIA (16/15)
QQQ (15/19)
EFA (8/12)
EEM (2/17)
We're a bit out of cycle for October expiry trades (40 days until expiry), and if you're like me, you loaded up a little heavy in all that volatility in August, so not a bad thing to hand sit here, manage what you put on ... .
VIX/VIX DERIVATIVES
VIX closed the week at 15.00 with the /VX term structure returning to its "basic look" (i.e., spot under M1, everything sloping gradually higher as you go out in time). In spite of the fact that we're under the 16 handle, VIX is still amenable to a decent "term structure" trade in the October or November cycles (or both), with the /VX future trading at 17.65 versus 15.00 spot in October and 18.00 versus 15.00 spot in November as of the writing of this post.
October (37 Days Until Expiry) term structure trades:
VIX October 16th 17/19 short call vertical, .65 credit at the mid price, break even at 17.65 versus October /VX contract at 17.65.
VIX October 16th 17/20 short call vertical, .90 credit at the mid price, break even at 17.90 versus October /VX contract at 17.65.
November (72 Days Unit Expiry) term structure trades:
VIX November 20th 17/20 short call vertical, .95 credit at the mid price, break even at 17.95 versus November /VX contract at 18.00.
VIX November 20th 18/21 short call vertical, .80 credit at the mid price, break even of 18.80 versus November /VX contract at 18.00.
For all other, non-inverse derivatives, hand sit on entering short delta setups in the absence of VIX pops to >20.
No options highly liquid underlying earnings announcements this coming week.
EXCHANGE-TRADED FUNDS
Ordered by implied volatility rank:
SLV (99/33)
GDX (71/33)
GDXJ (67/37)
XLU (60/14)
GLD (59/15)
Pictured here is a GDXJ Oct 14th 36/44 short strangle, paying 1.23 at the mid with break evens at 34.77/45.23, and delta/theta metrics of 1.46/3.08.
BROAD MARKET
IWM (25/19)
SPY (20/15)
DIA (16/15)
QQQ (15/19)
EFA (8/12)
EEM (2/17)
We're a bit out of cycle for October expiry trades (40 days until expiry), and if you're like me, you loaded up a little heavy in all that volatility in August, so not a bad thing to hand sit here, manage what you put on ... .
VIX/VIX DERIVATIVES
VIX closed the week at 15.00 with the /VX term structure returning to its "basic look" (i.e., spot under M1, everything sloping gradually higher as you go out in time). In spite of the fact that we're under the 16 handle, VIX is still amenable to a decent "term structure" trade in the October or November cycles (or both), with the /VX future trading at 17.65 versus 15.00 spot in October and 18.00 versus 15.00 spot in November as of the writing of this post.
October (37 Days Until Expiry) term structure trades:
VIX October 16th 17/19 short call vertical, .65 credit at the mid price, break even at 17.65 versus October /VX contract at 17.65.
VIX October 16th 17/20 short call vertical, .90 credit at the mid price, break even at 17.90 versus October /VX contract at 17.65.
November (72 Days Unit Expiry) term structure trades:
VIX November 20th 17/20 short call vertical, .95 credit at the mid price, break even at 17.95 versus November /VX contract at 18.00.
VIX November 20th 18/21 short call vertical, .80 credit at the mid price, break even of 18.80 versus November /VX contract at 18.00.
For all other, non-inverse derivatives, hand sit on entering short delta setups in the absence of VIX pops to >20.
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